Navigate to System/Preferences/Appearance in start menu
Right-click and choose [Add this launcher to Desktop] from context menu
Copy ~/Desktop/gnome-appearance-properties.desktop to \
/usr/share/gdm/autostart/LoginWindow/
This will run @ login

Logout yourself
At login -- choose a background from the Appearance application and close it

All that's left is to remove the file you copied to gdm/autostart and voila!